This is true, apparently, of just about everyone whose first real job is on this administrative track. (sciencemag.org)
I think most people in the beginning stages of taking charge of their personal finances (just out of college, first real job out of college, or starting to pay off credit card debt) should claim no exemptions, and therefore get the maximum amount taken out of their paychecks and loaned to the IRS. (thecollegeinvestor.com)